| Metric | Close | Strategy |
|---|---|---|
| Risk-Free Rate | 3.0% | 3.0% |
| Time in Market | 100.0% | 92.0% |
| Cumulative Return | 11,321.68% | 8,134.04% |
| CAGR﹪ | 9.34% | 8.67% |
| UPI | 1702.32 | 1283.07 |
| Sharpe | 0.86 | 0.75 |
| ROMaD | 0.26 | 0.37 |
| Prob. Sharpe Ratio | 99.9% | 99.19% |
| Smart Sharpe | 0.82 | 0.72 |
| Sortino | 1.22 | 1.07 |
| Smart Sortino | 1.17 | 1.02 |
| Sortino/√2 | 0.86 | 0.76 |
| Smart Sortino/√2 | 0.82 | 0.72 |
| Omega | 1.15 | 1.15 |
| Max Drawdown | -35.56% | -23.19% |
| Longest DD Days | 1520 | 1227 |
| Volatility (ann.) | 12.53% | 13.25% |
| R^2 | 0.2 | 0.2 |
| Information Ratio | -0.0 | -0.0 |
| Calmar | 0.26 | 0.37 |
| Skew | -0.47 | -0.29 |
| Kurtosis | 19.33 | 11.86 |
| Expected Daily | 0.04% | 0.03% |
| Expected Monthly | 0.04% | 0.03% |
| Expected Yearly | 0.04% | 0.03% |
| Kelly Criterion | 10.63% | 8.87% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.04% | -1.11% |
| Expected Shortfall (cVaR) | -1.04% | -1.11% |
| Max Consecutive Wins | 15 | 100 |
| Max Consecutive Losses | 10 | 35 |
| Gain/Pain Ratio | 0.18 | 0.19 |
| Gain/Pain (1M) | 1.08 | 1.13 |
| Payoff Ratio | 1.03 | 0.83 |
| Profit Factor | 1.18 | 1.19 |
| Common Sense Ratio | 1.22 | 1.28 |
| CPC Index | 0.67 | 0.58 |
| Tail Ratio | 1.03 | 1.08 |
| Outlier Win Ratio | 4.18 | 5.3 |
| Outlier Loss Ratio | 4.21 | 3.97 |
| MTD | 1.4% | -0.62% |
| 3M | 8.3% | 5.63% |
| 6M | 8.27% | 3.97% |
| YTD | 2.3% | 0.97% |
| 1Y | 12.93% | -0.47% |
| 3Y (ann.) | 4.44% | -3.95% |
| 5Y (ann.) | 8.63% | 2.2% |
| 10Y (ann.) | 8.15% | 2.48% |
| All-time (ann.) | 9.34% | 8.67% |
| Best Day | 9.86% | 6.79% |
| Worst Day | -11.69% | -7.29% |
| Best Month | 9.86% | 6.79% |
| Worst Month | -11.69% | -7.29% |
| Best Year | 9.86% | 6.79% |
| Worst Year | -11.69% | -7.29% |
| Avg. Drawdown | -1.24% | -2.07% |
| Avg. Drawdown Days | 22 | 40 |
| Recovery Factor | 14.14 | 20.42 |
| Ulcer Index | 0.07 | 0.06 |
| Serenity Index | 3.87 | 4.39 |
| Avg. Up Month | 0.43% | 0.49% |
| Avg. Down Month | -0.42% | -0.59% |
| Win Days | 54.56% | 58.59% |
| Win Month | 54.56% | 58.59% |
| Win Quarter | 72.77% | 65.4% |
| Win Year | 54.56% | 58.59% |
| Beta | - | 0.48 |
| Alpha | - | 0.06 |
| Correlation | - | 45.27% |
| Treynor Ratio | - | 16988.58% |
| Year | Close | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 1971 | 8.46 | 3.75 | 0.44 | - |
| 1972 | 13.73 | 18.54 | 1.35 | + |
| 1973 | -7.48 | -6.10 | 0.81 | + |
| 1974 | -15.44 | -4.15 | 0.27 | + |
| 1975 | 25.21 | 19.54 | 0.78 | - |
| 1976 | 20.26 | 22.04 | 1.09 | + |
| 1977 | -2.57 | 2.23 | -0.87 | + |
| 1978 | 5.11 | -0.11 | -0.02 | - |
| 1979 | 12.00 | 2.48 | 0.21 | - |
| 1980 | 19.71 | 10.97 | 0.56 | - |
| 1981 | 0.95 | 6.39 | 6.76 | + |
| 1982 | 25.05 | 27.79 | 1.11 | + |
| 1983 | 16.91 | 21.65 | 1.28 | + |
| 1984 | 10.00 | 9.57 | 0.96 | - |
| 1985 | 27.86 | 20.88 | 0.75 | - |
| 1986 | 18.55 | 6.47 | 0.35 | - |
| 1987 | 4.91 | 11.77 | 2.40 | + |
| 1988 | 13.87 | 9.39 | 0.68 | - |
| 1989 | 24.87 | 19.56 | 0.79 | - |
| 1990 | 1.44 | -10.02 | -6.97 | - |
| 1991 | 24.56 | 16.04 | 0.65 | - |
| 1992 | 8.00 | 2.10 | 0.26 | - |
| 1993 | 10.50 | 3.20 | 0.30 | - |
| 1994 | -0.67 | -1.01 | 1.51 | - |
| 1995 | 29.88 | 30.98 | 1.04 | + |
| 1996 | 14.60 | 18.85 | 1.29 | + |
| 1997 | 23.85 | 21.93 | 0.92 | - |
| 1998 | 21.06 | 18.06 | 0.86 | - |
| 1999 | 11.51 | 6.50 | 0.56 | - |
| 2000 | -1.43 | -5.44 | 3.80 | - |
| 2001 | -3.93 | 5.78 | -1.47 | + |
| 2002 | -9.50 | -1.92 | 0.20 | + |
| 2003 | 18.36 | 32.50 | 1.77 | + |
| 2004 | 7.95 | 11.43 | 1.44 | + |
| 2005 | 3.88 | -4.10 | -1.06 | - |
| 2006 | 10.93 | 18.91 | 1.73 | + |
| 2007 | 6.16 | 21.70 | 3.52 | + |
| 2008 | -21.30 | 9.06 | -0.43 | + |
| 2009 | 17.78 | 26.68 | 1.50 | + |
| 2010 | 11.95 | 6.09 | 0.51 | - |
| 2011 | 4.83 | 1.06 | 0.22 | - |
| 2012 | 11.24 | 16.50 | 1.47 | + |
| 2013 | 17.47 | 10.66 | 0.61 | - |
| 2014 | 10.51 | 3.59 | 0.34 | - |
| 2015 | 1.21 | -4.99 | -4.11 | - |
| 2016 | 8.25 | 2.73 | 0.33 | - |
| 2017 | 14.16 | 9.33 | 0.66 | - |
| 2018 | -2.49 | 3.39 | -1.36 | + |
| 2019 | 22.07 | 5.23 | 0.24 | - |
| 2020 | 15.20 | 13.26 | 0.87 | - |
| 2021 | 15.73 | 3.76 | 0.24 | - |
| 2022 | -15.90 | -8.12 | 0.51 | + |
| 2023 | 16.46 | -1.56 | -0.09 | - |
| 2024 | 2.30 | 0.97 | 0.42 | - |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 1989-10-10 | 1991-11-12 | -23.19 | 764 |
| 2021-07-27 | 2024-02-16 | -19.37 | 935 |
| 2014-09-08 | 2018-01-16 | -19.25 | 1227 |
| 1998-07-21 | 1999-04-07 | -19.03 | 261 |
| 2010-04-15 | 2012-03-12 | -16.33 | 698 |
| 2007-11-01 | 2008-12-17 | -16.18 | 413 |
| 1986-04-22 | 1987-03-20 | -14.07 | 333 |
| 1973-01-12 | 1975-04-30 | -13.02 | 839 |
| 1978-09-13 | 1979-10-04 | -12.16 | 387 |
| 2009-06-02 | 2009-07-17 | -11.53 | 46 |